HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
نویسندگان
چکیده
منابع مشابه
Higher-order accurate, positive semi-definite estimation of large-sample covariance and spectral density matrices
A new class of large-sample covariance and spectral density matrix estimators is proposed based on the notion of flat-top kernels. The new estimators are shown to be higher-order accurate when higher-order accuracy is possible. A discussion on kernel choice is presented as well as a supporting finite-sample simulation. The problem of spectral estimation under a potential lack of finite fourth m...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2011
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466610000484